Gregory Connor : Citation Profile

Are you Gregory Connor?

Maynooth University

11

H index

12

i10 index

674

Citations

RESEARCH PRODUCTION:

14

Articles

32

Papers

1

Books

1

Chapters

RESEARCH ACTIVITY:

   32 years (1984 - 2016). See details.
   Cites by year: 21
   Journals where Gregory Connor has often published
   Relations with other researchers
   Recent citing documents: 43.    Total self citations: 14 (2.03 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pco532
   Updated: 2017-09-16    RAS profile: 2016-12-06    
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Relations with other researchers

Works with:

Flavin, Thomas (5)

Korajczyk, Robert (2)

Suurlaht, Anita (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Gregory Connor.

Is cited by:

Swanson, Norman (20)

Bai, Jushan (18)

Pesaran, M (16)

Jagannathan, Ravi (15)

Forni, Mario (15)

Reichlin, Lucrezia (13)

Koopman, Siem Jan (12)

Gambetti, Luca (11)

Marcellino, Massimiliano (11)

Ng, Serena (10)

Zhou, Guofu (10)

Cites to:

Fama, Eugene (30)

French, Kenneth (28)

Korajczyk, Robert (21)

Campbell, John (19)

Reinhart, Carmen (18)

Engle, Robert (15)

LINTON, OLIVER (14)

Jagannathan, Ravi (11)

Bollerslev, Tim (10)

Gorton, Gary (9)

Shanken, Jay (9)

Main data

Where Gregory Connor has published?

Journals with more than one article published# docs
Journal of Financial Economics2
Journal of International Money and Finance2

Working Papers Series with more than one paper published# docs
Economics, Finance and Accounting Department Working Paper Series / Department of Economics, Finance and Accounting, National University of Ireland - Maynooth11
Research Program in Finance Working Papers / University of California at Berkeley7

Recent works citing Gregory Connor (2017 and 2016)

YearTitle of citing document
2016Heterotic Risk Models. (2016). Kakushadze, Zura . In: Papers. RePEc:arx:papers:1508.04883.

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2016Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series. (2016). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1510.05118.

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2016Multifactor Risk Models and Heterotic CAPM. (2016). Yu, Willie ; Kakushadze, Zura . In: Papers. RePEc:arx:papers:1602.04902.

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2017Statistical Risk Models. (2017). Kakushadze, Zura ; Yu, Willie . In: Papers. RePEc:arx:papers:1602.08070.

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2017Statistical Industry Classification. (2017). Kakushadze, Zura ; Yu, Willie . In: Papers. RePEc:arx:papers:1607.04883.

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2016Random matrix approach to estimation of high-dimensional factor models. (2016). Yeo, Joongyeub ; Papanicolaou, George . In: Papers. RePEc:arx:papers:1611.05571.

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2017A diagnostic criterion for approximate factor structure. (2017). Scaillet, Olivier ; Gagliardini, Patrick ; Ossola, Elisa . In: Papers. RePEc:arx:papers:1612.04990.

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2017*K-means and Cluster Models for Cancer Signatures. (2017). Kakushadze, Zura ; Yu, Willie . In: Papers. RePEc:arx:papers:1703.00703.

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2016Has the pricing of stocks become more global?. (2016). Schrimpf, Andreas ; Petzev, Ivan ; Wagner, Alexander F. In: BIS Working Papers. RePEc:bis:biswps:560.

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2017Dissecting Characteristics Nonparametrically. (2017). Weber, Michael ; Freyberger, Joachim ; Neuhierl, Andreas . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6391.

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2016Measuring the uncertainty of Principal Components in Dynamic Factor Models. (2016). Ruiz, Esther ; de Vicente, Javier . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:23974.

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2017Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models. (2017). Hallin, Marc ; Barigozzi, Matteo ; Soccorsi, Stefano . In: Working Papers ECARES. RePEc:eca:wpaper:2013/248676.

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2016Efficient estimation of approximate factor models via penalized maximum likelihood. (2016). Liao, Yuan ; Bai, Jushan. In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:1-18.

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2017Least squares estimation of large dimensional threshold factor models. (2017). Massacci, Daniele . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:101-129.

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2017Determining the number of factors when the number of factors can increase with sample size. (2017). Shi, Yutang ; Li, QI. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:76-86.

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2016Parameters measuring bank risk and their estimation. (2016). Tsionas, Mike. In: European Journal of Operational Research. RePEc:eee:ejores:v:250:y:2016:i:1:p:291-304.

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2016The usefulness of cross-sectional dispersion for forecasting aggregate stock price volatility. (2016). Byun, Sung Je ; Je, Sung . In: Journal of Empirical Finance. RePEc:eee:empfin:v:36:y:2016:i:c:p:162-180.

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2017Influence of storm surge on tidal range energy. (2017). Lewis, M J ; Neill, S P ; Evans, P S ; Robins, P E ; Angeloudis, A. In: Energy. RePEc:eee:energy:v:122:y:2017:i:c:p:25-36.

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2016Stock market risk in the financial crisis. (2016). Grout, Paul ; Zalewska, Anna . In: International Review of Financial Analysis. RePEc:eee:finana:v:46:y:2016:i:c:p:326-345.

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2016Debt and austerity: Post-crisis lessons from Ireland. (2016). Honohan, Patrick. In: Journal of Financial Stability. RePEc:eee:finsta:v:24:y:2016:i:c:p:149-157.

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2016Trading book and credit risk: How fundamental is the Basel review?. (2016). Laurent, Jean-Paul ; Thomas, Stephane ; Sestier, Michael . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:73:y:2016:i:c:p:211-223.

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2017European equity market integration and joint relationship of conditional volatility and correlations. (2017). Virk, Nader ; Javed, Farrukh . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:71:y:2017:i:c:p:53-77.

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2016Commodities common factor: An empirical assessment of the markets drivers. (2016). Posch, Peter N ; Lubbers, Johannes . In: Journal of Commodity Markets. RePEc:eee:jocoma:v:4:y:2016:i:1:p:28-40.

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2016Identifying the relative importance of stock characteristics. (2016). Li, Youwei ; Wu, Yuliang ; French, Declan . In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:34:y:2016:i:c:p:80-91.

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2016Investigating temporal variation in the global and regional integration of African stock markets. (2016). Watts, Edward J ; Loudon, Geoffrey ; Boamah, Nicholas Addai . In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:36:y:2016:i:c:p:103-118.

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2016State and group dynamics of world stock market by principal component analysis. (2016). Nobi, Ashadun ; Lee, Jae Woo . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:450:y:2016:i:c:p:85-94.

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2017Assessing the influence of sea level rise on tidal power output and tidal energy dissipation near a channel. (2017). Chen, Wei-Bo ; Liu, Wen-Cheng . In: Renewable Energy. RePEc:eee:renene:v:101:y:2017:i:c:p:603-616.

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2017Close-proximity tidal phasing for ‘firm’ electricity supply. (2017). Commin, Andrew N ; Gibb, Stuart W ; McClatchey, John . In: Renewable Energy. RePEc:eee:renene:v:102:y:2017:i:pb:p:380-389.

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2016Tidal energy leasing and tidal phasing. (2016). Neill, Simon P ; Lewis, Matt J ; Hashemi, Reza M. In: Renewable Energy. RePEc:eee:renene:v:85:y:2016:i:c:p:580-587.

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2016Continuous wavelet transform and rolling correlation of European stock markets. (2016). Tiwari, Aviral ; Mutascu, Mihai Ioan ; Albulescu, Claudiu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:42:y:2016:i:c:p:237-256.

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2016Statistical modeling of stock returns: explanatory ordescriptive? A historical survey with some methodologicalreflections. (2016). Koundouri, Phoebe ; Kourogenis, Nikolaos ; Pittis, Nikitas . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:65549.

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2017Housing and Financial Stability : a speech at the DNB-Riksbank Macroprudential Conference Series, Amsterdam, Netherlands, June 20, 2017.. (2017). Fischer, Stanley . In: Speech. RePEc:fip:fedgsq:956.

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2016Asymptotic Inference for Common Factor Models in the Presence of Jumps. (2016). Yamamoto, Yohei. In: Discussion paper series. RePEc:hit:hiasdp:hias-e-4.

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2017Estimation and inference in semiparametric quantile factor models. (2017). GAO, Jiti ; Ma, Shujie ; Linton, Oliver . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2017-8.

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2017Dissecting Characteristics Nonparametrically. (2017). Weber, Michael ; Freyberger, Joachim ; Neuhierl, Andreas . In: NBER Working Papers. RePEc:nbr:nberwo:23227.

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2017Inference on Risk Premia in the Presence of Omitted Factors. (2017). Giglio, Stefano ; Xiu, Dacheng . In: NBER Working Papers. RePEc:nbr:nberwo:23527.

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2017Level and Volatility Factors in Macroeconomic Data. (2017). Ng, Serena ; Gorodnichenko, Yuriy. In: NBER Working Papers. RePEc:nbr:nberwo:23672.

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2016Quasi Maximum Likelihood Analysis of High Dimensional Constrained Factor Models. (2016). Lu, Lina ; Li, Kunpeng . In: MPRA Paper. RePEc:pra:mprapa:75676.

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2016Bank Profitability and Capital Regulation: Evidence from Listed and non-Listed Banks in Africa. (2016). Ozili, Peterson . In: MPRA Paper. RePEc:pra:mprapa:75856.

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2016A New Approach to Modelling Sector Stock Returns in China. (2016). CHONG, Terence Tai Leung ; ZOU, LIN ; Li, Nasha . In: MPRA Paper. RePEc:pra:mprapa:80554.

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2017Risk bounds for factor models. (2017). Bernard, Carole ; Wang, Ruodu ; Vanduffel, Steven ; Ruschendorf, Ludger . In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0328-4.

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2017Constrained principal components estimation of large approximate factor models. (2017). Ouysse, Rachida. In: Discussion Papers. RePEc:swe:wpaper:2017-12.

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2016Dynamic correlation and equicorrelation analysis of global financial turmoil: evidence from emerging East Asian stock markets. (2016). Hamori, Shigeyuki ; Tian, Shuairu ; Cai, Xiao Jing . In: Applied Economics. RePEc:taf:applec:v:48:y:2016:i:40:p:3789-3803.

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Works by Gregory Connor:

YearTitleTypeCited
1993 A Test for the Number of Factors in an Approximate Factor Model. In: Journal of Finance.
[Full Text][Citation analysis]		article152
2012Sliding Doors Cost Measurement: The Net Economic Cost of Lax Regulation of the Irish Banking Sector In: The World Economy.
[Full Text][Citation analysis]		article2
2006Semiparametric Estimation of aCharacteristic-based Factor Model ofCommon Stock Returns In: STICERD - Econometrics Paper Series.
[Full Text][Citation analysis]		paper11
2007Semiparametric estimation of a characteristic-based factor model of common stock returns.(2007) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		article
2006Semiparametric estimation of a characteristic-based factor model of common stock returns.(2006) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
2007Efficient Estimation of a SemiparametricCharacteristic-Based Factor Model of Security Returns In: STICERD - Econometrics Paper Series.
[Full Text][Citation analysis]		paper3
2007Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns.(2007) In: FMG Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2007Efficient Estimation of a Semiparametric Characteristic- Based Factor Model of Security Returns.(2007) In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2007Efficient estimation of a semiparametric characteristic-based factor model of security returns.(2007) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2007Efficient estimation of a semiparametric characteristic-based factor model of security returns.(2007) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2015A Synthesis of Two Factor Estimation Methods In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article1
2012Efficient Semiparametric Estimation of the Fama–French Model and Extensions In: Econometrica.
[Full Text][Citation analysis]		article14
2006The common and specific components of dynamic volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article15
1984A unified beta pricing theory In: Journal of Economic Theory.
[Full Text][Citation analysis]		article62
1986Performance measurement with the arbitrage pricing theory : A new framework for analysis In: Journal of Financial Economics.
[Full Text][Citation analysis]		article186
1988Risk and return in an equilibrium APT : Application of a new test methodology In: Journal of Financial Economics.
[Full Text][Citation analysis]		article139
2015Strategic, unaffordability and dual-trigger default in the Irish mortgage market In: Journal of Housing Economics.
[Full Text][Citation analysis]		article1
2012The U.S. and Irish credit crises: Their distinctive differences and common features In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article13
2010The U.S. and Irish Credit Crises: Their Distinctive Differences and Common Features.(2010) In: Economics, Finance and Accounting Department Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13		paper
2013Dynamic stock market covariances in the Eurozone In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article6
2012Dynamic Stock Market Covariances in the Eurozone.(2012) In: Economics, Finance and Accounting Department Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
2006Regulating the output characteristics of tidal current power stations to facilitate better base load matching over the lunar cycle In: Renewable Energy.
[Full Text][Citation analysis]		article13
2004An Introduction to hedge funds In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper1
2001Tests of the Fama and French model in India In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper3
2000Semiparametric Estimation of a Characteristic-Based Factor Model of Stock Returns In: FMG Discussion Papers.
[Full Text][Citation analysis]		paper1
2001A Structured GARCH Model of Daily Equity Return Volatility In: FMG Discussion Papers.
[Full Text][Citation analysis]		paper0
2001Tests of the Fama Model in India In: FMG Discussion Papers.
[Full Text][Citation analysis]		paper0
2004(IAM Series No 002) An Intro to Hedge Funds In: FMG Discussion Papers.
[Full Text][Citation analysis]		paper0
2012A Coasean Approach to Bank Resolution Policy in the Eurozone In: FMG Special Papers.
[Full Text][Citation analysis]		paper2
2012A Coasean Approach to Bank Resolution Policy in the Eurozone.(2012) In: Economics, Finance and Accounting Department Working Paper Series.
[Full Text][Citation analysis]
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2009Market Dispersion and the Profitability of Hedge Funds In: Economics, Finance and Accounting Department Working Paper Series.
[Full Text][Citation analysis]		paper1
2009The Risky Lending Gap In: Economics, Finance and Accounting Department Working Paper Series.
[Full Text][Citation analysis]		paper0
2010Sliding Doors Cost Measurement.A Restrictive Approach to Analyzing the Net Economic Cost of Policy Decisions and an Application to Irish Financial Regulation In: Economics, Finance and Accounting Department Working Paper Series.
[Full Text][Citation analysis]		paper0
2013Irish Mortgage Default Optionality In: Economics, Finance and Accounting Department Working Paper Series.
[Full Text][Citation analysis]		paper0
2014Unpublished Appendix:Ancillary Results and Robustness Checks on a Probit Model of Irish Mortgage Defaults In: Economics, Finance and Accounting Department Working Paper Series.
[Full Text][Citation analysis]		paper0
2014A Performance Comparison of Large-n Factor Estimators In: Economics, Finance and Accounting Department Working Paper Series.
[Full Text][Citation analysis]		paper0
2015Restructuring and Recovery of the Irish Financial Sector: An Economic Case History V2 In: Economics, Finance and Accounting Department Working Paper Series.
[Full Text][Citation analysis]		paper1
2016-Adjusted p-values for genome-wide regression analysis with non-normally distributed quantitative phenotypes In: Economics, Finance and Accounting Department Working Paper Series.
[Full Text][Citation analysis]		paper0
2010Introduction In: Introductory Chapters.
[Full Text][Citation analysis]		chapter3
2010Portfolio Risk Analysis In: Economics Books.
[Citation analysis]		book2
1985Arbitrage Pricing Theory: The Way Forward In: Australian Journal of Management.
[Full Text][Citation analysis]		article0
1987Estimating Pervasive Economic Factors with Missing Observations. In: Research Program in Finance Working Papers.
[Citation analysis]		paper14
1987Risk and Return in an Equilibrium APT. In: Research Program in Finance Working Papers.
[Citation analysis]		paper13
1987New Cross-Sectional Regression Tests of Beta Pricing Models. In: Research Program in Finance Working Papers.
[Citation analysis]		paper0
1987An Intertemporal Equilibrium Beta Pricing Model. In: Research Program in Finance Working Papers.
[Citation analysis]		paper2
1988The Attributes, Behavior and Performance of U.S. Mutual Funds. In: Research Program in Finance Working Papers.
[Citation analysis]		paper12
1990The Relationship Between Non- Arbitrage and Recursive Competitive Equilibrium Pricing. In: Research Program in Finance Working Papers.
[Citation analysis]		paper0
1995Optimal Cash Management for Investment Funds. In: Research Program in Finance Working Papers.
[Citation analysis]		paper1

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